Add Turing Change Point Dataset

[ethanwhite]

Main link: https://github.com/alan-turing-institute/TCPD
Format: JSON
Description: A set of time series specifically collected for the evaluation of change point detection algorithms on real-world data.
Complexities: Only some datasets are available directly in the repo. Others are downloadable via Python scripts.

[Om-Doiphode]

I would like to work on this issue. Can you guide me on how to get started with it?

[henrykironde]

You will need to read about script creation. https://retriever.readthedocs.io/en/latest/recipes.html#script-creation

The data is in JSON format and there are some examples on that.